GOLD Options History — August 2017

In August 2017, GOLD traded between $46.39 and $51.27. ATM implied volatility averaged 24.7%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.6% (HV 20d: 21.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.68.

Notable Days

2017-08-15: Highest Volume — 9,204 contracts
2017-08-03: Largest IV drop — 18.8% change
2017-08-02: Highest IV Rank — 23.8%
2017-08-02: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.26	$46.39	$51.27	$46.66	$51.27
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	24.7%	22.5%	30.9%	29.7%	22.9%
Expected Move	7.1%	6.4%	8.9%	8.5%	6.6%
HV 20d	21.1%	17.7%	24.0%	19.2%	22.1%
HV 60d	21.6%	21.0%	22.3%	21.2%	21.4%
IV Rank	4.1%	0.0%	23.8%	18.4%	1.8%
IV Percentile	3.6%	0.0%	31.0%	28.2%	0.8%
Term Structure	1.9%	-3.4%	3.4%	-2.7%	2.2%
VWIV	25.1%	23.0%	31.0%	29.9%	24.1%
Skew 25d	0.6%	-0.2%	1.6%	1.0%	0.1%
Skew 10d	1.1%	-1.0%	2.4%	2.0%	-0.8%
Call IV 25d	24.8%	23.0%	29.7%	29.3%	23.6%
Put IV 25d	25.4%	23.3%	31.3%	30.3%	23.6%
Bid-Ask Spread %	13.68	10.56	19.60	10.75	12.63
Gamma HHI	0.30	0.15	0.61	0.38	0.18
Net GEX	3.4M	1.1M	9.0M	4.5M	1.8M
Net DEX	-72.0M	-109.5M	-36.2M	-57.5M	-79.7M
Net VEX	-274.3K	-314.2K	-249.7K	-311.0K	-255.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.22	0.91	0.89	0.74
Total Volume	4,762.261	3,538	9,204	4,324	4,758
Total OI	56,226.087	45,860	62,280	56,592	53,062

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-08-01	$46.66	$45.00	29.7%	8.5%	19.2%	18.4%	29.9%	1.0%	-2.7%	4.5M	-57.5M	-311.0K	0.89	10.75	N/A	N/A	2,288	2,036	35,796	20,796
2017-08-02	$46.39	$45.00	30.9%	8.9%	18.5%	23.8%	31.0%	1.6%	-3.4%	4.4M	-53.1M	-314.2K	0.80	15.86	N/A	N/A	2,836	2,258	36,108	21,226
2017-08-03	$47.62	$45.00	25.1%	7.3%	18.9%	0.0%	25.4%	0.0%	2.6%	4.5M	-77.9M	-303.7K	0.82	19.60	N/A	N/A	2,658	2,176	36,880	21,578
2017-08-04	$47.12	$45.00	24.0%	7.0%	18.1%	0.0%	24.8%	0.9%	3.0%	5.4M	-70.8M	-300.7K	0.84	13.35	N/A	N/A	2,190	1,840	36,970	21,726
2017-08-07	$46.90	$45.00	24.1%	6.9%	17.7%	0.5%	24.4%	0.8%	3.2%	5.9M	-67.0M	-291.9K	0.84	14.34	N/A	N/A	2,174	1,826	37,238	21,810
2017-08-08	$46.61	$45.00	24.1%	7.0%	18.0%	0.4%	24.7%	0.7%	2.8%	6.3M	-61.7M	-291.4K	0.57	12.22	N/A	N/A	2,676	1,538	37,476	21,966
2017-08-09	$47.80	$45.00	25.1%	7.2%	19.6%	4.5%	25.4%	1.1%	2.4%	4.9M	-86.6M	-281.8K	0.46	13.10	N/A	N/A	3,954	1,836	38,006	21,986
2017-08-10	$48.48	$45.00	25.7%	7.4%	19.0%	7.1%	26.4%	0.9%	2.2%	4.1M	-101.2M	-279.7K	0.68	13.73	N/A	N/A	2,782	1,900	38,984	22,292
2017-08-11	$48.90	$45.00	25.3%	7.3%	18.3%	5.6%	25.8%	1.1%	2.7%	2.9M	-109.5M	-270.7K	0.82	14.01	N/A	N/A	1,944	1,594	39,104	22,564
2017-08-14	$48.15	$45.00	24.6%	7.0%	19.5%	2.4%	24.9%	0.4%	2.4%	4.1M	-99.2M	-263.7K	0.66	12.79	N/A	N/A	2,404	1,584	39,292	22,700
2017-08-15	$46.59	$45.00	25.0%	7.2%	23.4%	4.3%	24.8%	0.7%	2.6%	9.0M	-67.2M	-267.8K	0.22	15.08	N/A	N/A	7,536	1,668	39,478	22,802
2017-08-16	$47.38	$45.00	24.3%	7.0%	24.0%	1.2%	24.2%	0.4%	3.4%	5.2M	-81.5M	-262.1K	0.77	10.71	N/A	N/A	2,036	1,558	38,090	22,864
2017-08-17	$47.77	$45.00	24.9%	7.2%	24.0%	4.0%	25.0%	0.7%	3.1%	2.6M	-91.9M	-254.7K	0.72	16.53	N/A	N/A	2,328	1,686	38,056	22,854
2017-08-18	$47.92	$45.00	24.4%	7.0%	24.0%	1.8%	24.3%	0.5%	3.2%	1.1M	-95.3M	-249.7K	0.52	13.89	N/A	N/A	3,596	1,852	38,144	23,094
2017-08-21	$48.27	$45.00	23.9%	6.8%	22.9%	0.0%	24.1%	0.8%	2.1%	1.2M	-36.2M	-258.7K	0.64	11.04	N/A	N/A	2,322	1,494	25,298	20,562
2017-08-22	$48.46	$45.00	23.4%	6.7%	22.7%	0.0%	23.6%	0.3%	2.0%	1.1M	-37.7M	-257.8K	0.72	14.57	N/A	N/A	2,290	1,640	25,430	20,862
2017-08-23	$48.53	$45.00	22.9%	6.6%	21.6%	0.0%	23.0%	0.5%	1.8%	1.6M	-51.7M	-275.6K	0.73	10.56	N/A	N/A	2,472	1,802	29,092	20,982
2017-08-24	$48.71	$45.00	23.0%	6.6%	21.5%	0.5%	23.1%	0.5%	1.8%	1.6M	-53.9M	-271.8K	0.91	11.48	N/A	N/A	2,018	1,838	29,222	21,160
2017-08-25	$48.65	$45.00	22.5%	6.4%	21.5%	0.0%	23.2%	0.1%	2.4%	1.6M	-53.5M	-271.1K	0.81	14.61	N/A	N/A	2,248	1,810	29,342	21,304
2017-08-28	$49.98	$45.00	24.0%	6.9%	23.1%	5.8%	24.8%	-0.1%	1.5%	1.5M	-67.7M	-260.4K	0.46	15.36	N/A	N/A	4,140	1,918	29,848	21,424
2017-08-29	$50.91	$45.00	24.3%	7.0%	23.7%	6.9%	24.3%	0.3%	1.2%	1.7M	-78.4M	-255.2K	0.44	15.29	N/A	N/A	4,922	2,142	31,126	21,648
2017-08-30	$50.96	$45.00	23.8%	6.8%	23.5%	5.0%	25.0%	-0.2%	1.9%	1.7M	-76.4M	-260.3K	0.49	13.23	N/A	N/A	3,322	1,642	31,060	21,898
2017-08-31	$51.27	$45.00	22.9%	6.6%	22.1%	1.8%	24.1%	0.1%	2.2%	1.8M	-79.7M	-255.7K	0.74	12.63	N/A	N/A	2,734	2,024	31,084	21,978